IDEAS home Printed from https://ideas.repec.org/p/bdr/borrec/1040.html
   My bibliography  Save this paper

Metodologías semi-estructurales para estimar la Inflación básica mensual en Colombia

Author

Listed:

Abstract

Realizamos el cálculo de varias medidas (semi-)estructurales de inflación básica mensual de Colombia, para el periodo 2000:1-2017:11, a partir de dos metodologías semi-estructurales, a saber, modelos VAR estructurales (SVAR) y modelos macroeconómicos semiestructurales de tipo Neokeynesiano. Además, se realiza una evaluación de las medidas con base en siete criterios deseables para una medida de este tipo. Los resultados de evaluación individual favorecen la medida obtenida usando modelos Neokeynesianos semi-estructurales y luego la de un SVAR con restricción de signos; así mismo, auguran buen desempeño de promedios que incluyen cuatro medidas, entre ellas dos de las propuestas en este trabajo.

Suggested Citation

  • Norberto Rodríguez-Niño & Alejandra Ramírez-Ramírez, 2018. "Metodologías semi-estructurales para estimar la Inflación básica mensual en Colombia," Borradores de Economia 1040, Banco de la Republica de Colombia.
    • Handle: RePEc:bdr:borrec:1040
    DOI: 10.32468/be.1040
    as

    Download full text from publisher

    File URL: https://doi.org/10.32468/be.1040
    Download Restriction: no
    File URL: https://libkey.io/10.32468/be.1040?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Fank Smets, 1997. "Measuring Monetary Policy Shocks in France, Germany and Italy: The Role of The Exchange Rate," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 133(III), pages 597-616, September.
    2. Giannone, Domenico & Monti, Francesca & Reichlin, Lucrezia, 2016. "Exploiting the monthly data flow in structural forecasting," Journal of Monetary Economics, Elsevier, vol. 84(C), pages 201-215.
    3. Hernando Vargas & Andrés González & Eliana González & José Vicente Romero & José Luis Eduardo Rojas, 2010. "Assessing inflationary pressures in Colombia," BIS Papers chapters, in: Bank for International Settlements (ed.), Monetary policy and the measurement of inflation: prices, wages and expectations, volume 49, pages 129-171, Bank for International Settlements.
    4. Quah, Danny & Vahey, Shaun P, 1995. "Measuring Core Inflation?," Economic Journal, Royal Economic Society, vol. 105(432), pages 1130-1144, September.
    5. Fabio Bagliano & Roberto Golinelli & Claudio Morana, 2002. "Core inflation in the Euro area," Applied Economics Letters, Taylor & Francis Journals, vol. 9(6), pages 353-357.
    6. Evans, George & Reichlin, Lucrezia, 1994. "Information, forecasts, and measurement of the business cycle," Journal of Monetary Economics, Elsevier, vol. 33(2), pages 233-254, April.
    7. Christine Gartner & Gert Wehinger, 1998. "Core Inflation in Selected European Union Countries," Working Papers 33, Oesterreichische Nationalbank (Austrian Central Bank).
    8. Gordon, Robert J, 1992. "Measuring the Aggregate Price Level: Implications for Economic Performance and Policy," CEPR Discussion Papers 663, C.E.P.R. Discussion Papers.
    9. Litterman, Robert B, 1983. "A Random Walk, Markov Model for the Distribution of Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 1(2), pages 169-173, April.
    10. Jesús Bejarano & Franz Hamann & Diego Rodríguez, 2016. "Indicador de Inflación Básica a partir de un Modelo Semi-estructural con inflación de alimentos," Borradores de Economia 935, Banco de la Republica de Colombia.
    11. Kydland, Finn E & Prescott, Edward C, 1982. "Time to Build and Aggregate Fluctuations," Econometrica, Econometric Society, vol. 50(6), pages 1345-1370, November.
    12. Luis Fernando Melo & Franz A.Hamann, 1998. "Inflación Básica.Una Estimación Basada en Modelos VAR Estructurales," Borradores de Economia 093, Banco de la Republica de Colombia.
    13. Claudia Foroni & Massimiliano Marcellino, 2014. "Mixed‐Frequency Structural Models: Identification, Estimation, And Policy Analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(7), pages 1118-1144, November.
    14. Andrew Binning, 2013. "Underidentified SVAR models: A framework for combining short and long-run restrictions with sign-restrictions," Working Paper 2013/14, Norges Bank.
    15. Michael F. Bryan & Stephen G. Cecchetti, 1994. "Measuring Core Inflation," NBER Chapters, in: Monetary Policy, pages 195-219, National Bureau of Economic Research, Inc.
    16. J. Sebastián Amador-Torres, 2018. "New Keynesian NAIRU and the Okun Law: An application for Colombia," Borradores de Economia 1034, Banco de la Republica de Colombia.
    17. Fabio C. Bagliano & Claudio Morana, 2003. "A common trends model of UK core inflation," Empirical Economics, Springer, vol. 28(1), pages 157-172, January.
    18. repec:onb:oenbwp:y::i:33:b:1 is not listed on IDEAS
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Martha Misas Arango & Enrique López Enciso & Juana Téllez Corredor & José Fernando Escobar, 2005. "La Inflación Subyacente en Colombia: Un Enfoque de Tendencias Estocásticas Comunes Asociadas a un VEC Estructural," Borradores de Economia 324, Banco de la Republica de Colombia.
    2. Juan José Echavarría Soto & Enrique López Enciso & Martha Misas Arango, 2008. "La tasa de cambio real de equilibrio en Colombia y su desalineamiento: estimación a través de un modelo SVEC," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 26(57), pages 282-319, December.
    3. Eliana R. González-Molano & Ramón Hernández-Ortega & Edgar Caicedo-García & Nicolás Martínez-Cortés & Jose Vicente Romero & Anderson Grajales-Olarte, 2020. "Nueva Clasificación del BANREP de la Canasta del IPC y revisión de las medidas de Inflación Básica en Colombia," Borradores de Economia 1122, Banco de la Republica de Colombia.
    4. Juan José Echavarría Soto & Enrique López Enciso & Martha Misas Arango, 2008. "El tipo de cambio real de equilibrio en Colombia y su desalineamiento: estimación a través de un modelo SVEC," Investigación Conjunta-Joint Research, in: Centro de Estudios Monetarios Latinoamericanos (CEMLA) (ed.), Estimación y Uso de Variables no Observables en la Región, edition 1, volume 1, chapter 12, pages 365-395, Centro de Estudios Monetarios Latinoamericanos, CEMLA.
    5. Durai, S. Raja Sethu & Ramachandran, M., 2007. "Core inflation for India," Journal of Asian Economics, Elsevier, vol. 18(2), pages 365-383, April.
    6. Rapacciuolo, Ciro, 2003. "Un semplice modello univariato per la previsione a breve termine dell'inflazione italiana [A simple model for the short term forecasting of Italian inflation]," MPRA Paper 7714, University Library of Munich, Germany.
    7. Pelinescu, Elena & Dospinescu, Andrei Silviu, 2008. "Alternative Measures of Core Inflation in Romania," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 5(1), pages 134-148, March.
    8. Scott Roger, 1998. "Core inflation: concepts, uses and measurement," Reserve Bank of New Zealand Discussion Paper Series G98/9, Reserve Bank of New Zealand.
    9. Bagliano, Fabio C. & Morana, Claudio, 2003. "Measuring US core inflation: A common trends approach," Journal of Macroeconomics, Elsevier, vol. 25(2), pages 197-212, June.
    10. Landau, Bettina, 2000. "Core inflation rates: a comparison of methods based on west German data," Discussion Paper Series 1: Economic Studies 2000,04, Deutsche Bundesbank.
    11. Luis Arango & Andres Gonzalez, 2001. "Some evidence of smooth transition nonlinearity in Colombian inflation," Applied Economics, Taylor & Francis Journals, vol. 33(2), pages 155-162.
    12. Robalo Marques, Carlos & Duarte Neves, Pedro & Morais Sarmento, Luis, 2003. "Evaluating core inflation indicators," Economic Modelling, Elsevier, vol. 20(4), pages 765-775, July.
    13. Riccardo Cristadoro & Mario Forni & Lucrezia Reichlin & Giovanni Veronese, 2001. "A core inflation index for the euro area," Temi di discussione (Economic working papers) 435, Bank of Italy, Economic Research and International Relations Area.
    14. Luis J. Álvarez & María de los Llanos Matea, 1999. "Underlying Inflation Measures in Spain," Working Papers 9911, Banco de España.
    15. Abdul Aleem & Amine Lahiani, 2011. "Estimation and evaluation of core inflation measures," Applied Economics, Taylor & Francis Journals, vol. 43(25), pages 3619-3629.
    16. Mick Silver, 2006. "Core Inflation Measures and Statistical Issues in Choosing Among Them," IMF Working Papers 2006/097, International Monetary Fund.
    17. Mariano Matilla-Garcia, 2005. "A SVAR model for estimating core inflation in the Euro zone," Applied Economics Letters, Taylor & Francis Journals, vol. 12(3), pages 149-154.
    18. Fabio DI DIO & Francesco FELICI, 2009. "Estimating Core Inflation In Norway," Journal of Applied Economic Sciences, Spiru Haret University, Faculty of Financial Management and Accounting Craiova, vol. 4(3(9)_Fall).
    19. Stefano Siviero & Giovanni Veronese, 2011. "A policy-sensible benchmark core inflation measure," Oxford Economic Papers, Oxford University Press, vol. 63(4), pages 648-672, December.
    20. Mark A. Wynne, 2008. "Core inflation: a review of some conceptual issues," Review, Federal Reserve Bank of St. Louis, issue May, pages 205-228.

    More about this item

    Keywords

    Inflación básica; modelos Neo-Keynesianos semi-estructurales; SVAR; restricciones de corto y largo plazo; restricciones de signo.;
    All these keywords.

    JEL classification:

    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies
    • E61 - Macroeconomics and Monetary Economics - - Macroeconomic Policy, Macroeconomic Aspects of Public Finance, and General Outlook - - - Policy Objectives; Policy Designs and Consistency; Policy Coordination

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bdr:borrec:1040. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Clorith Angélica Bahos Olivera (email available below). General contact details of provider: https://edirc.repec.org/data/brcgvco.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.